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Prof. Jie Jay CAO

Prof. Jie Jay CAO




Professor Jie (Jay) Cao is currently a full professor of finance at the School of Accounting and Finance, Hong Kong Polytechnic University (PolyU). He also serves as an Advisory Council member for Monetary Research at the Hong Kong Institute for Monetary and Financial Research (HKIMR), an Academic and Accreditation Advisory Committee member for The Securities and Futures Commission (SFC) of Hong Kong, an Academic Working Group member for the United Nations Sustainable Stock Exchanges (SSE) Initiative, and a member of the Board of Directors for Chicago Quantitative Alliance Asia (CQAsia). He is an Associate Editor of Financial Management, an Editorial Board Member of Financial Analysts Journal, a Co-Editor of The International Review of Finance, and an Editor of China Accounting and Finance Review. Before joining PolyU, he served as a tenured associate professor of finance at the Chinese University of Hong Kong (CUHK) Business School and worked there for 13 years.

Prof. Cao received his Ph.D. in Finance from the University of Texas at Austin in 2009 and BA in Economics from Peking University in 2002. His research interests center on empirical asset pricing, derivatives, and sustainable finance. His papers are published or forthcoming in top finance and management journals such as Journal of Financial Economics, Review of Financial Studies, Journal of Financial and Quantitative Analysis, and Management Science. He is the Principal Investigator of several Hong Kong competitive RGC grants and many other research grants from both academic and industry sponsors such as The Canadian Derivatives Institute (CDI) and Geneva Institute for Wealth Management. He has received various research awards such as AAM–CAMRI Prize in Asset Management by Asia Asset Management and NUS, the ETF Research Academy Award by the Paris–Dauphine House of Finance and Lyxor Asset Management, Chicago Quantitative Alliance (CQA) Academic Competition Award, and the best paper awards at several academic conferences such as the 28th Australian Finance & Banking Conference, 2020 FMA Consortium on Asset Management, 2020 Northern Finance Association Annual Conference, etc.

Prof. Cao has taught undergraduate Investments, MSc Fixed Income, finance MBA Quantitative Investing, and Ph.D. Empirical Asset Pricing during the past years. He received the Outstanding Teaching Award of CUHK Business School. He has also provided consulting services for several fintech start-ups and hedge funds.


Education and Academic Qualifications

  • Bachelor of Arts, Peking University
  • Master of Science, The University of Texas at Austin
  • Doctor of Philosophy, The University of Texas at Austin

Research Interests

  • Asset Pricing
  • Investments
  • Derivatives
  • Fixed Income
  • Sustainable Finance

Research Output

  1. Cao, Jie, Amit Goyal, Sai Ke, and Xintong Zhan (2023), “Option Trading and Stock Price Informativeness,” Journal of Financial and Quantitative Analysis, forthcoming.
  2. Cao, Jie, Sheridan Titman, Xintong Zhan, and Weiming Zhang (2023), “ESG Preference, Institutional Trading, and Stock Return Patterns,” Journal of Financial and Quantitative Analysis, 58(5), 1843-1877.
  3. Cao, Jie, Amit Goyal, Xiao Xiao, and Xintong Zhan (2023), “Implied Volatility Changes and Corporate Bond Returns,” Management Science, 69(3), 1375-1397.
  4. Cao, Jie, Bing Han, Linjia Song, and Xintong Zhan (2023), “Option Price Implied Information and REIT Returns,” Journal of Empirical Finance 71, 13-28.
  5. Zhan, Xintong, Bing Han, Jie Cao, and Qing Tong (2022) “Option Return Predictability,” Review of Financial Studies, 35(3), 1394-1442.
  6. Cao, Jie, Tarun Chordia, and Xintong Zhan (2021), “The Calendar Effects of the Idiosyncratic-Volatility Puzzle: A Tale of Two Days?” Management Science, 67(12), 7866-7887.
  7. Cao, Jie, Hao Liang, and Xintong Zhan (2019), “Peer Effects of Corporate Social Responsibility,” Management Science, 65(12), 5676-5696.
  8. Cao, Jie, Bing Han, and Qinghai Wang (2017), “Institutional Investment Constraints and Stock Prices,” Journal of Financial and Quantitative Analysis, 52(2), 465-489.
  9. Cao, Jie, and Bing Han (2016), “Idiosyncratic Risk, Costly Arbitrage, and the Cross-Section of Stock Returns,” Journal of Banking and Finance, 73, 1-15.
  10. Cao, Jie, Tarun Chordia, and Chen Lin (2016), “Alliances and Return Predictability,” Journal of Financial and Quantitative Analysis, 51(5), 1689-1717.
  11. Cao, Jie, and Bing Han (2013), “Cross-Section of Option Returns and Idiosyncratic Stock Volatility,” Journal of Financial Economics, 108(1), 231-249.

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